Scary? Not in the traditional sense I guess.
Daggerfall was pretty scary at times, mostly due sounds and even music. Skeleton at starter dungeon freaked me out. Ancient Vampires scared me, and I'd still be scared of them compared to Skyrim ones. Arriving at Daggerfall hearing Lysandus' Ghost didn't help

However I didn't look at Daggerfall as a "scary game".
Morrowind was more freaky and earie than scary, with its 6th house thing going. Then again, too alien to me so I couldn't really develop any kinds of feelings for it. I know that's just me though and few others

Oblivions only scare was "how long is this fight gonna last" once detected, on highest difficulty.
My only "scares" in Skyrim is more like "will it crash" or "will I survive this encounter".
That being said, I don't play these games to be scared. In fact I don't play games that base the whole experience on the scare factor at all. Most fail, and those that doesn't still doesn't really get to me, gameplay wise.
Edit: Note that I love being on constant edge though. Even through easy dungeons I play like my life depended on it. Constantly sneaking, trying not to get spotted etc. Guess I'm simply incapable of playing a charging warrior